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End of November 2024
Wasn’t expecting a positive month at the start. Both US monthly systems took positions in CEG which immediately gapped down, and the R1000 took positions in APP and PLTR which both looked extended. By month end, APP is up 97% and PLTR 60%.
This is an outlier month and year for the R1000 system. November’s 27% return is the biggest in the R1000 20yr back test, and is on track for its biggest year at 83% for 2024. Its unusual to have a 50% or more trade in a single month – let alone two. APP is the 6th biggest winning trade in the back test and none above it achieved it in 1 month. The other trades above 50% that achieve their gains in 1 month was PLTR (this month), W (54%) in Feb 2019 and MRNA (52%) in July 2021.
In other news, looks like SelfWealth is going to be taken over by Bell Potter. I was concerned they would change the brokerage to match Bell’s and was looking around for other brokers, but the information is they will keep Selfwealth separate with no change pricing.
Another system on the daily timeframe. TechTrader rules were the starting point but the system is a lot more simple. Universe is the ASX500 excluding the Top 100.
End of October 2024
Improvement from the account’s recent drawdown continues.
The US Monthly Rotational system returned 5% this month, with most of the recent drawdown almost now recovered. The recovery has been led by the R1000 system (+10% into new high equity ground) with the NDX still underwater with a -7% drawdown. CVNA is leading the charge in the R1000 system with a current +68% return.
The mean reversion system has improved by 5% but is still in a -10% drawdown. While the R1000 system has recovered from its drawdown, the R2000 system is still -13% underwater.
The ASX WTT has completely recovered from it drawdown and is on par with its 1 July starting point. The WTT exited EZZ last week with a 44% return, and is currently holding CYL with a 94% return.
Still hoping the ASX Momentum (Chartist) can start kicking into gear like its US cousin. The system was doing well holding WTC until the CEO’s issues this month:
End of September 2024
Some recovery this month, helping to offset recent drawdowns.
The Russell 1000 monthly system came away with +6% return, with the equity curve bouncing straight out of its drawdown into a new equity high. VST was the stand out position (+40%). In contrast, NDX monthly stayed flat with its equity curve still in a down trend.
The Russ1000 MR system had a 6% bounce while the Russell 2000 was flat.
The ASX WTT made a nice 10% bounce mainly thanks to EZZ and CYL. Equity curve has recovered and is back just under all time highs.
Also, good to see the ASX Monthly (Chartist) perhaps soon to come out of its longer-term drawdown with +8% this month:
End of August 2024
Drawdowns continue, though not as bad as July.
Both my R1000 and NDX monthly systems had positions in SMCI which got hit hard with allegations of accounting irregularities. This was the only position down significantly for the month. Luckily, all other positions were positive which offset the loss in SMCI.
With -38%, SMCI was the 4th largest negative trade for the R1000 system (since 2005), and the largest ever (since 2005) for the NDX system.
Both systems also had positions in CRWD during August, which was a large contributor to August’s fast drawdown (including an all time MaxDD since 2005 for the NDX system) due to the issues with the world IT shutdown.
The mean reversion systems had a drawdown in line with the market correction, but failed to recover with the subsequent market move up.
The ASX weekly trend system had some big negative hits with ACW (-68%) and KLI (-44%).
The Russ1000 system above refined further to 28% ROR and 30% MaxDD. Adding it to a monthly rotational system keeps the ROR around the same but decreases the MaxDD by 10%.
Here is a mean reversion system which targets the top momentum stocks in the NDX. Essentially, a combination of a momentum system and a mean reversion system with daily entry/exits. The idea came from: https://www.systematic-investors.com/strategy-session-ndx-momentum/ which had a CAGR of 35% and 23.5% MaxDD.
My attempt:
Compared to a regular monthly momo NDX system, very highly correlated (not surprisingly):
And a version for the Russ1000:
12.6% ROR, 22% maxDD and AvgExp 79%.
And with QQQ instead of SPY…. 15.7% ROR, 20.5% MaxDD and AvgExp 79%.
